By Marisa Wong
Madison, Wis., March 8 - Deutsche Bank AG, London Branch priced $11.44 million of 0% tracker notes due March 11, 2015 linked to a basket of indexes that includes the S&P 500 Total Return index, the Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald EM) and the Deutsche Bank ProVol Hedge index (ProVol Hedge), according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on the pricing date was 100. On any subsequent day, the basket level is 100 plus the return of the S&P 500 Total Return plus double the return of the Emerald EM plus double the return of the ProVol Hedge. The return of each index is reduced by an adjustment factor, which is a flat 0.1% and 0.275% per year for the S&P 500 Total Return, 1% per year for the Emerald EM and 1% per year for the ProVol Hedge.
The payout at maturity will be par multiplied by the quotient of the final basket level divided by the initial basket level.
The notes will be called at par plus the basket return if the basket level falls below 40.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Tracker notes
|
| Underlying indexes: | S&P 500 Total Return index, Deutsche Bank Equity Mean Reversion Alpha index (Emerald EM) and the Deutsche Bank ProVol Hedge index (ProVol Hedge)
|
| Amount: | $11,436,000
|
| Maturity: | March 11, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par multiplied by quotient of final basket level divided by initial basket level
|
| Call: | At par plus basket return if basket level falls below 40
|
| Initial index levels: | 2,718.071 for S&P 500 Total Return, 215.93 for Emerald EM and 864.25 for ProVol Hedge
|
| Basket level: | On any day, 100 plus S&P 500 Total Return index return on that day plus double return of Emerald EM plus double return of ProVol Hedge; returns reduced by adjustment factor of flat 0.1% and 0.275% per year for the S&P 500 Total Return, 1% per year for the Emerald EM and 1% per year for the ProVol Hedge
|
| Pricing date: | March 6
|
| Settlement date: | March 11
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.1%
|
| Cusip: | 25152RBY8
|
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